1、在VS（此处目录文件以vs2010为例）安装目录下（“%Visual Studio安装目录%/Common10/IDE/Microsoft.Data.ConnectionUI.Dialog.dll”）找到Microsoft.Data.ConnectionUI.dll、Microsoft.Data.ConnectionUI.Dialog.dll和汉化资源文件Microsoft.Data.ConnectionUI.Dialog.resources.dll，注意汉化资源文件需要放在zh-CHS文件夹下；

2、在工程文件中添加对以上二个dll文件的引用；

3、具体代码如下：

 private void button1_Click(object sender, EventArgs e)
        {
            DataConnectionDialog dialog = new DataConnectionDialog();
            dialog.DataSources.Add(DataSource.AccessDataSource);
            dialog.DataSources.Add(DataSource.OdbcDataSource);
            dialog.DataSources.Add(DataSource.OracleDataSource);
            dialog.DataSources.Add(DataSource.SqlDataSource);
            dialog.DataSources.Add(DataSource.SqlFileDataSource);

            dialog.SelectedDataSource = DataSource.SqlDataSource;
            dialog.SelectedDataProvider = DataProvider.SqlDataProvider;

            if (DataConnectionDialog.Show(dialog, this) == DialogResult.OK)
            {
                //connDlg.ConnectionString;
            }
        }

运行效果：

重新打开时展示，之前选择的连接字符串：

 DataConnectionDialog dialog = new DataConnectionDialog();        
            dialog.DataSources.Add(DataSource.AccessDataSource);
            dialog.DataSources.Add(DataSource.OdbcDataSource);
            dialog.DataSources.Add(DataSource.OracleDataSource);
            dialog.DataSources.Add(DataSource.SqlDataSource);
            dialog.DataSources.Add(DataSource.SqlFileDataSource);

            dialog.SelectedDataSource = DataSource.SqlDataSource;
            dialog.SelectedDataProvider = DataProvider.SqlDataProvider;
            //之前 DataConnectionDialog 控件保存的连接字符串
            dialog.ConnectionString = str;
            //ConnectionString有值，则会显示出来
            DataConnectionDialog.Show(dialog, this);